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The role of commodity prices in forecasting U.S. core inflation
Gospodinov, Nikolaj - 2016
This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...
Persistent link: https://www.econbiz.de/10011428084
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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2018
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on …
Persistent link: https://www.econbiz.de/10011883796
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The FRBNY Staff Underlying Inflation Gauge : UIG
Amstad, Marlene; Potter, Simon M.; Rich, Robert W. - 2014
Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...
Persistent link: https://www.econbiz.de/10010404156
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Developing an underlying inflation gauge for China
Amstad, Marlene; Huan, Ye; Ma, Guonan - 2014
information. Finally, when forecasting the headline CPI, our UIG for China outperforms traditional core measures over different …
Persistent link: https://www.econbiz.de/10010412468
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Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates
Ajello, Andrea - 2012
outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …
Persistent link: https://www.econbiz.de/10013114689
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Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models
Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12
The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...
Persistent link: https://www.econbiz.de/10014574074
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Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
Berg, Tim Oliver - 2015
This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...
Persistent link: https://www.econbiz.de/10011306293
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With or without you : do financial data help to forecast industrial production?
Kitlinski, Tobias - 2015
This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to … evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models …-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was …
Persistent link: https://www.econbiz.de/10010529472
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Monthly recession predictions in real time : a density forecast approach for German industrial production
Rietzler, Katja; Stephan, Sabine - 2012
In this paper we present a methodology which can help to improve the assessment of the current economic situation. We propose an approach which combines multivariate single equations to forecast the monthly growth rate of industrial production with a density forecast. This allows to estimate the...
Persistent link: https://www.econbiz.de/10009616512
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GDPNow : a model for GDP "nowcasting"
Higgins, Patrick - 2014
This paper documents GDPNow, a "nowcasting" model for gross domestic product (GDP) growth that synthesizes the "bridge equation" approach relating GDP subcomponents to monthly source data with the factor model approach used by Giannone, Reichlin, and Small (2008). The GDPNow model forecasts GDP...
Persistent link: https://www.econbiz.de/10010382060